I asked my tour guide at the Temple of Heaven and she said that people have died doing this, that it is a serious problem; a quick google search found that yes, a man was killed in Kuala Lumpur in 1999, struck by lightning while talking on his cell phone. However, the consensus seems to be that there is no danger because there is no grounded connection. The Chicago Tribune weighs in:

Using a corded telephone during a thunderstorm is discouraged because the phone is physically connected by wires to the outside. A cellphone, however, has no such physical connection and the electric current from a nearby lightning strike cannot reach it. It is perfectly safe to use a cellphone during a thunderstorm.